Law invariant risk measures and information divergences

DOI10.1515/demo-2018-0014zbMath1430.91134arXiv1510.07030OpenAlexW2963593180WikidataQ128907462 ScholiaQ128907462MaRDI QIDQ2283649

Daniel Lacker

Publication date: 13 January 2020

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.07030

zbMATH Keywords

risk measuresinformation divergencetime consistencylaw invariance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of information, entropy (94A17)

Related Items (3)

Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Extended Laplace principle for empirical measures of a Markov chain ⋮ Liquidity, Risk Measures, and Concentration of Measure

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